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Workbook: 22b6734d-6f30-4df2-b896-9042389b5b86.xls Sheet: Instructions
CRD Pillar II Data Return Template 2010: Instructions for Institutions
1) Complete as much detail as possible in all Templates
Data submitted should be relevant to the licence entity where possible
Provide information as of the date of the institution's most recent internal capital calculation where possible or use the most r
Please follow the instructions provided for each individual data return sheet
All data quality issues should be clearly marked and should include an explanation for the unreliability
This data will be extracted for central storage - do not merge cells or apply custom formats.
2) Return the completed workbook in electronic form to Risk Analytics Unit, Financial Regulator
Submissions can be made via email (RiskAnalytics@CentralBank.ie) or via delivery on CD/DVD/USB to our
Alternative data layouts or file formats will not be accepted
3) Please direct all queries to the Risk Analytics Unit only (not your examination team)
RiskAnalytics@CentralBank.ie
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Workbook: 22b6734d-6f30-4df2-b896-9042389b5b86.xls Sheet: P2(1). (Instructions)
General Guidance for Template: P2(1) Banking Book Sectoral_Overview
Please provide as much detail as possible, completing the 19 headline and 2 memorandum sectors shown in emboldened text at a minimum
Please provide details for the performing banking book only (i.e. assets that are currently not in default according to the CRD definition)
Standardised institutions are not expected to provide information for fields (k)-(m), but should provide values if they are available (e.g. used for internal risk management purposes)
IRBA institutions should populate fields (k)-(m) where information is available (including on a partial coverage basis), irrespective of whether credit rating models are used for regulatory and/or risk management purposes.
Column Sub-Section Item Field Description
(a) Industry Sector Code Sector code
(b) ID Sector ID
(c) Sector Sector Description
(d) Book Details Net Exposure The net exposure to this sector as calculated by internal systems in €m.
(e) EAD The exposure used for the purposes of calculating regulatory capital in €m
(f) Number of Obligors The number of unique credit obligors in this sector
(g) Pillar 1 Capital Risk Weighted Assets Sector Risk Weighted Assets in €m
(h) Capital Amount Sector Capital requirement in €m (i.e. RWAs * minimum_solvency_ratio)
(i) Exposure Weighted Averages Maturity Sector exposure weighted average residual maturity in years
(j) Maturity Definition The maturity type used above (for example, and in order of preference: duration; average life; cashflow maturity; legal maturity)
(k) PD Sector exposure weighted average Probability of Default of performing assets in percentage terms
(l) LGD Sector exposure weighted average Loss Given Default of performing assets in percentage terms
(m) DLGD Sector exposure weighted average Downturn LGD of performing assets in percentage terms
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Workbook: 22b6734d-6f30-4df2-b896-9042389b5b86.xls Sheet: P2(1) Sectoral_Overview
(a) (b) (c)
Industry Sector
Code ID Sector
AAGRIC 10 Agriculture and Forestry
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Workbook: 22b6734d-6f30-4df2-b896-9042389b5b86.xls Sheet: P2(2). (Instructions)
General Guidance for Template: P2(2) Banking Book Top_50_Exposures
Please provide details of the institutions 50 largest counterparty exposures in the banking book
Exposures provided should be the net (aggregate) exposure to a given counterparty
Netting should take account of credit enhancements (such as credit guarantees and overcollateralisation) where possible
On and off balance sheet exposures should be included
The list should include ALL exposures, regardless of whether exempted from Large Exposure reports or not (under 2006/48/EC Article 113(3)(a) to (d) and (f) to (h)) - NO EXEMPTIONS APPLY
Standardised institutions are not expected to provide information for fields (m)-(o), but should provide values if they are available (e.g. used for internal risk management purposes)
IRBA institutions should populate fields (m)-(o) where information is available (including on a partial coverage basis), irrespective of whether credit rating models are used for regulatory and/or risk management purposes.
Column Sub-Section Item Field Description
(a) Borrower Obligor/Connection The Client/Bank/Government name
(b) Sector The dominant industry sector that the borrower/connection is exposed to
(c) Country The dominant country that the borrower/connecction is exposed to - provide the two-letter ISO 3166-1 alpha-2 code of the borrower; e.g. "IE" for Ireland.
(d) Internal Obligor Yes, if this an affiliate exposure (i.e. the borrower is a wholly owned subsidiary or belongs to the same financial group); otherwise No
(e) In Default Yes, if the borrower is currently in default according to the CRD definition (i.e. 90 days past due or unlikely to pay); otherwise No
(f) Exposure Details Net Exposure The net exposure to this obligor as calculated by internal systems in €m
(g) EAD The exposure used for the purposes of calculating regulatory capital in €m
(h) Asset Class The borrower's dominant asset class (sovereign / corporate / financial / retail / specialised lending)
(i) Pillar 1 Capital Risk Weighted Assets Borrower total Risk Weighted Assets in €m
(j) Capital Amount The obligor/connection Capital requirement in €m (i.e. RWAs * minimum_solvency_ratio)
(k) Exposure Weighted Averages Maturity Exposure weighted average residual maturity in years
(l) Maturity Definition The maturity type used above (for example and in order of preference: duration; average life; cashflow maturity; legal maturity)
(m) PD Probability of default of performing assets in percentage terms (use a blended PD if appropriate)
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Workbook: 22b6734d-6f30-4df2-b896-9042389b5b86.xls Sheet: P2(2) Top_50_Exposures
(a) (b) (c)
Borrower
Obligor/Connection Sector Country
ISO 3166-1 alpha-2 Code
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Workbook: 22b6734d-6f30-4df2-b896-9042389b5b86.xls Sheet: P2(3). (Instructions)
General Guidance for Template: P2(3) AFS_Assets
Provide a breakdown of all licenced entity assets treated as Available-for-Sale for the purposes of financial reporting on a consolidated group basis using the below fields.
The returned information should be grouped by asset class and credit quality
Column Sub-Section Item Field Description
(a) Asset Type Asset Class The Asset class (Sovereign/Subsovereign, Financials, Corporate, Retail, Specialised Lending)
(b) Credit Quality Rating Grade The internal/external credit rating grade assigned
(c) PD The probability of default associated with this credit rating grade, if available
(d) Exposure Details Nominal Exposure Nominal exposure €m (this will usually be the drawn exposure or the book value)
(e) Number of Obligors The number of unique credit obligors in this asset class
(f) Maturity Exposure weighted average residual maturity in years
(g) Maturity Definition The maturity type used above (for example and in order of preference: duration; average life; cashflow maturity; legal maturity)
(h) Pillar 1 Capital Risk Weighted Assets The total risk weighted assets for this asset class and rating grade in €m
(i) Capital Amount The total regulatory capital for this asset class and rating grade in €m (i.e. RWAs * minimum_solvency_ratio)
(j) Comments Comments Provide any additional comments/information relevant to the data furnished as appropriate
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Workbook: 22b6734d-6f30-4df2-b896-9042389b5b86.xls Sheet: P2(3). AFS_Assets
(a) (b) (c) (d) (e) (f) (g) (h) (i) (j)
Asset Type Credit Quality Exposure Details Pillar 1 Capital Comments
Rating Nominal Number of Maturity Risk Weighted Capital
Asset Class Grade PD Exposure Obligors Maturity Definition Assets Amount Comments
(duration / average life
(%) (€m) (in years) / cashflow / legal) (€m) (€m)
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Workbook: 22b6734d-6f30-4df2-b896-9042389b5b86.xls Sheet: P2(3). AFS_Assets
(a) (b) (c) (d) (e) (f) (g) (h) (i) (j)
Asset Type Credit Quality Exposure Details Pillar 1 Capital Comments
Rating Nominal Number of Maturity Risk Weighted Capital
Asset Class Grade PD Exposure Obligors Maturity Definition Assets Amount Comments
(duration / average life
(%) (€m) (in years) / cashflow / legal) (€m) (€m)
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Workbook: 22b6734d-6f30-4df2-b896-9042389b5b86.xls Sheet: P2(4). (Instructions)
General Guidance for Template: P2(4) Banking Book Profile
Please provide a breakdown of non-trading Assets, Liabilities and off-balance sheet instruments according to the below instructions
Instructions - Banking Book Exposure and Funding Profiles by Repricing Maturity
Provide a breakdown for all non-trading interest sensitive assets, liabilities and off-balance sheet instruments by maturity/repricing schedule in the tables provided. For example a €100m, 10-year loan that is re-indexed to 3M
Euribor on a fortnightly basis - this exposure has a 2-week repricing maturity and so should be entered into the asset table in the cell corresponding to the 'up to 1 month' time interval and EUR currency as €100m.
Exposure details should be given in foreign currency (e.g. EUR, GBP, USD, JPY etc.) in units of millions - extend each table to accommodate additional currencies as appropriate
Time band allocation should be according to maturity for fixed rate instruments and repricing interval for floating rate instruments
Instruments lacking definitive repricing intervals, or actual maturities varying from contractual, should be assigned to repricing time bands according to the judgement and past experience of the bank
Derivatives should be converted into positions in the relevant underlying. The amounts considered are the principal amount of the underlying or of the notional underlying.
Futures and forward contracts, including forward rate agreements (FRA), should be treated as a combination of a long and a short position. The maturity of a future or a FRA will be the period until delivery or exercise of the
contract, plus - where applicable - the life of the underlying instrument. For example, a long position in a June three month interest rate future (taken in April) is to be reported as a long position with a maturity of five months and
a short position with a maturity of two months.
Swaps should be treated as two notional positions with relevant maturities. For example, an interest rate swap under which a bank is receiving floating-rate interest and paying fixed-rate interest will be treated as a long floating-
rate position of maturity equivalent to the period until the next interest fixing and a short fixed-rate position of maturity equivalent to the residual life of the swap. The separate legs of cross-currency swaps are to be treated in the
relevant maturity ladders for the currencies concerned.
Options should be considered according to the delta equivalent amount of the underlying or of the notional underlying.
Details provided should be based on active and drawn exposure at the survey date - inactive forward start securities and committed but undrawn exposure at the survey date should be excluded where possible
Exposures which create practical processing problems because of their large number and relatively small individual amount (e.g. instalment or mortgage loans) may be allocated on the basis of statistically supported
assessment methods.
38
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Workbook: 22b6734d-6f30-4df2-b896-9042389b5b86.xls Sheet: P2(4). Banking_Book_Profile
Banking Book Exposure and Funding Profiles by Repricing Maturity
Exposure profile of interest rate sensitive assets (on and off-balance sheet) in millions of foreign currency (e.g. EUR, GBP, USD, JPY etc.) by repricing maturity
Currency Up to 1 month 1-3 months 3-6 months 6-12 months 1-2 years 2-3 years 3-4 years 4-5 years 5-7 years 7-10 years 10-15 years 15-20 years Over 20 years
EUR
GBP
USD
JPY
etc..
Exposure profile of interest rate sensitive liabilities (on and off-balance sheet) in millions of foreign currency (e.g. EUR, GBP, USD, JPY etc.) by repricing maturity
Currency Up to 1 month 1-3 months 3-6 months 6-12 months 1-2 years 2-3 years 3-4 years 4-5 years 5-7 years 7-10 years 10-15 years 15-20 years Over 20 years
EUR
GBP
USD
JPY
etc..
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Workbook: 22b6734d-6f30-4df2-b896-9042389b5b86.xls Sheet: P2(5). (Instructions)
General Guidance for Template: P2(5) Pension Profiles
Instructions
Provide details for all defined-benefit pension scheme obligations of the licenced entity
All returns relate to defined-benefit pension scheme obligations only, please do not populate the tables for any other forms of pension scheme
Institutions contributing to foreign group schemes should provide details based on their contribution to the group scheme
If the institution has no exposure to defined-benefit pension schemes, please state this at the top of the sheet
If specific information is not available, please type 'Not Available' in the relevant field
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Workbook: 22b6734d-6f30-4df2-b896-9042389b5b86.xls Sheet: P2(5). Pension_Profiles
Defined Benefit Pension Plan Totals
Value of unfunded pension obligations
Value of fully or partly funded pension obligations
Fair value of assets under the pension plans
Net pension obligation at December 31
Actuarial gains/losses not recognised in the net pension obligation
Pension assets on Balance Sheet recognised under Other assets
Pension provisions on Balance Sheet recognised under Other liabilities
Defined Benefit Pension Assets at 31-Dec-2008
Cash
Bond
Equity
Real Estate
Alternative Investments
Other
Defined Benefit Pension Funds
Pension fund name
Juristiction (e.g. IE, UK, US, etc..)
Value of assets (€m)
Number of retired members
Number of active members
Defined benefit type
Predominant asset valuation method
Funding Cost method
Sensitivity Analysis
Equity prices
Interest rates
Life expectancy
Pillar II Capital Held for Pension Risks
Capital held to cover current funding deficit
Equity writedown risk
Credit migration & default risk
Capital held to cover potential risks identified in sensitivity analysis
Other risks
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Workbook: 22b6734d-6f30-4df2-b896-9042389b5b86.xls Sheet: P2(5). Pension_Profiles
2008 (€m) 2007 (€m)
2008 (€m) 2007 (€m)
Fund 1 Fund 2 Fund 3
Perturbation (%) Impact on Funding Obligation (€m)
2008 (€m) 2007 (€m)
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Workbook: 22b6734d-6f30-4df2-b896-9042389b5b86.xls Sheet: P2(5). Pension_Profiles
Average Modelling Assumptions 2008 2007
Discount rate
Expected long-term return on assets
Inflation rate
Salary adjustment rate
Pension adjustment rate
Retirement age
Withdrawal or termination assumption
Mortality assumption
Disability assumption
Estimated wind-up expenses
Fund 4 Fund 5
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Workbook: 22b6734d-6f30-4df2-b896-9042389b5b86.xls Sheet: P2(6). (Instructions)
General Guidance for Template: P2(6). Other_Risks
Ten Most Significant Equity Holdings by Euro value (i.e. equity stakes in listed and unlisted non-affiliate companies)
Item Description
Company Name The full name of the company
Sector Financial or Non-Financial
Country The location of the exposure
Value (€m) Estimated value of holding in €m
Valuation Date Date when stake was last valued
Summary of Real Estate Holdings by Country and Property Type (i.e fixed assets such as bank branches, headquarters, etc.)
Item Description
Country Location of the properties
Property Type Office,Retail,Residential,Industrial,Other
# Properties Number of individual properties in this country
Value (€m) Estimated combined market value in €m
Valuation Date The most recent revaluation date of all properties
Summary of Asset Credit Risk Mitigation (including synthetic securitisations)
"Any credit risk mitigation activities" refers to the reduction of credit risk based on collateral, netting, guarantees, insurance, cds protection, etc.
Unfunded CRM refers to instances where the protection provider steps in when the borrower is unable to pay (e.g. guarantee, insurance, cds protection, etc.)
Calculation of physical collateral revaluation frequency should include residential mortgages and commerical property loans
Summary of Collateral used for Asset Credit Risk Mitigation purposes
Provide a breakdown of collateral type (property,cash,equity,bonds,other) by value in €m
Summary of all Originated Asset Securitisations
Item Description
Vehicle/Entity Legal Name The legal name of the vehicle or entity
Type The securitisation type - On or Off Balance Sheet
Assets (€m) Value of assets in €m
Funding Currency The primary funding currency of the vehicle
Pillar 1 Capital (€m) The Pillar 1 capital charge (if any)
Pillar 2 Capital (€m) The Pillar 2 capital allocation (if any)
Credit Enhancement Type Tranche Subordination,Monoline Wrap,Financial Guarantor, CDS
Protection,Excess Spread,Overcollateralisation, Cash Reserve,Standby Credit
Facility,Other
Credit enhancement provider The primary provider of credit enhancement (if any)
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Workbook: 22b6734d-6f30-4df2-b896-9042389b5b86.xls Sheet: P2(6). Other_Risks
Ten Most Significant Equity Holdings by Euro value (i.e. equity stakes in listed and unlisted non-affiliate companies
Company Name
Summary of Real Estate Holdings by Country and Property Type (i.e fixed assets such as bank branches, headqua
Country
Summary of Asset Credit Risk Mitigation (including synthetic securitisations)
Item
Balance Sheet Assets with any Credit Risk Mitigation applied (€m)
Exposure weighted average maturity of underlying assets with unfunded protection (years)
Exposure weighed average maturity of unfunded protection (years)
Risk Weighted Assets for underlying credit exposure with unfunded protection (€m)
Risk Weighted Assets for exposure with unfunded protection applied (€m)
Exposure weighted average frequency of physical collateral valuations (years)
Exposure weighed average haircut applied to financial collateral (%)
Summary of Originated Asset Securitisations
Vehicle/Entity Legal Name
Page 16 of 25 Printed 2/3/2011 8:34 PM
Workbook: 22b6734d-6f30-4df2-b896-9042389b5b86.xls Sheet: P2(6). Other_Risks
in listed and unlisted non-affiliate companies)
Sector Country Value (€m) Valuation Date
xed assets such as bank branches, headquarters, etc.)
Property Type # Properties Value (€m) Valuation Date
Summary of Collateral used in Asset Credit Risk Mitigation
Amount Collateral Type Value (€m)
Residential Property
Commercial Property
Cash
Equity
Bonds
Motor Vehicles
Other
Type Assets (€m) Funding Currency Pillar 1 Capital (€m) Pillar 2 Capital (€m)
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Workbook: 22b6734d-6f30-4df2-b896-9042389b5b86.xls Sheet: P2(6). Other_Risks
Credit Enhancement Type Credit enhancement provider
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Workbook: 22b6734d-6f30-4df2-b896-9042389b5b86.xls Sheet: P2(7). (Instructions)
General Guidance for Template: P2(7) Pillar II Development Plan
Instructions
Describe ALL scheduled activities that will result in improved Pilllar II tools or processes
The plan should include, at a minimum, all planned improvements during the next two years
All entries should be allocated to one of the following improvement categories using the drop-down list in the template:
Capital Adequacy Modelling
Capital Allocation/Planning
Governance Review
Management Reporting
Model/Tools Documentation
Model/Tools Validation
Performance Monitoring
Process Documentation
RAROC Analysis
Risk Tolerance/Limit Setting
Staff Training
Other
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Workbook: 22b6734d-6f30-4df2-b896-9042389b5b86.xls Sheet: P2(7). Development_Plan
Category
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Workbook: 22b6734d-6f30-4df2-b896-9042389b5b86.xls Sheet: P2(7). Development_Plan
Page 21 of 25 Printed 2/3/2011 8:34 PM
Workbook: 22b6734d-6f30-4df2-b896-9042389b5b86.xls Sheet: P2(7). Development_Plan
Scheduled Improvement
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Workbook: 22b6734d-6f30-4df2-b896-9042389b5b86.xls Sheet: P2(7). Development_Plan
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Workbook: 22b6734d-6f30-4df2-b896-9042389b5b86.xls Sheet: P2(7). Development_Plan
Delivery (month/year)
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Workbook: 22b6734d-6f30-4df2-b896-9042389b5b86.xls Sheet: P2(7). Development_Plan
Page 25 of 25 Printed 2/3/2011 8:34 PM
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